Title:Essays in applied econometrics of high frequency financial data Author(s):ARCHAKOV, IlyaDate:2016Citation:
- Florence : European University Institute, 2016
Type:ThesisSeries/Number:EUI PhD theses; Department of EconomicsAbstract:In the first chapter, co-authored with Peter Hansen and Asger Lunde, we suggest a novel approach to modeling and measuring systematic risk in equity markets. We develop a new modeling framework that treats an asset return ...
Title:A Markov chain estimator of multivariate volatility from high frequency data Author(s):HANSEN, Peter Reinhard; HOREL, Guillaume; LUNDE, Asger; ARCHAKOV, IlyaDate:2016Citation:
- Mark PODOLSKIJ, Robert STELZER, Steen THORBJØRNSEN and Almut E. D. VERAART (eds), The fascination of probability, statistics and their applications : in Honour of Ole E. Barndorff-Nielsen, [S.l.] : Springer Verlag, 2016, pp. 361-394
Type:Contribution to bookAbstract:We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite ...